#9906. Identifying price bubble periods in the Bitcoin market-based on GSADF model

September 2026publication date
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Journal’s subject area:
Social Sciences (all);
Statistics and Probability;
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Abstract:
The advert of cryptocurrency era is signified by the luanch of Bitcoin, which has been considered as a milestone event. Ever since its emergence, Bitcoin has experienced rapid price increase along with great price fluctuations. This paper aims to explore the beginning and the culmination of possible speculative bubbles the Bitcoin market. Based on the daily closing price of Bitstamp, a major Bitcoin exchange platform, from September 13, 20XX to October 12, 20XX, this paper adopts GSADF (generalized sup augmented Dickey–Fuller) to explore the existence of the bubble in the Bitcoin market, estimate the time of emergence and collapse of the bubble, investigate the causes of the bubbles based on its time order, and attempts to put forward some policy suggestions.
Keywords:
Bitcoin; Generalized sup augmented dickey–fuller (ADF) test; Multiple bubbles

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